Weak Identification in Low-Dimensional Factor Models with One or Two Factors

This paper describes how to reparameterize low-dimensional factor models with one or two factors to fit weak identification theory developed for generalized method of moments models. Some identification-robust tests, here called “plug-in” tests, require a reparameterization to distinguish weakly ide...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	The review of economics and statistics 2024-03, p.1-45
1. Verfasser:	Cox, Gregory Fletcher
Format:	Artikel
Sprache:	eng
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!